We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the necessity to posit a specific utility function to describe investor's preferences and it does not impo...

Abstract. In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) drifts, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere stochastic invertible flow associated with the SDE in the sense of Lebesgue measure. In the case of constant diffusions and BV drifts, we obtain such a result...

We study a class of Markov processes of the type Xn+1,h = Xn,h+ F (Xn,h)h + √ h ξn+1, where F : Rd → Rd is a bounded continuous function, (ξn) are i.i.d. random variables with zero mean, and t = nh understood as “macro-time”. Such processes are approximations to the SDE, dXt = F (Xt) dt + dWt. Upper estimates for β-mixing and convergence rates to invariant measure are established under certain ...

Cascade Stochastic Differential Equation (SDE), a continuous time model for energy dissipation in turbulence, is a generalization of the Yaglom discrete cascade model. We extend this SDE to a model in random environment by assuming that its two parameters are switched by a continuous time Markov chain whose states represent the states of the environment. Moreover, a Dirichlet process is placed ...

Semi−definite Embedding (SDE) is a recently proposed to maximize the sum of pair wise squared distances between outputs while the input data and outputs are locally isometric, i.e. it pulls the outputs as far apart as possible, subject to unfolding a manifold without any furling or fold for unsupervised nonlinear dimensionality reduction. The extensions of SDE to supervised feature extraction, ...

Many philosophers of science follow Hempel in embracing both substantive and methodological anti-psychologism regarding the study of explanation. The former thesis denies that explanations are constituted by psychological events, and the latter denies that psychological research can contribute much to the philosophical investigation of the nature of explanation. Substantive anti-psychologism is...

This paper deals with nonparametric estimators of the drift function b computed from independent continuous observations, on a compact time interval, solution stochastic differential equation driven by fractional Brownian motion (fSDE). First, risk bound is established Skorokhod’s integral based least squares oracle $${\widehat{b}}$$ b. Thanks to relationship between fSDE and its derivative res...

Abstract In this paper, we study the existence and uniqueness of random periodic solution for a stochastic differential equation with one-sided Lipschitz condition (also known as monotonicity condition) convergence its numerical approximation via backward Euler–Maruyama method. The is shown limit pull-back flows SDE discretized SDE, respectively. We establish rate strong error method order 1/2.

the essential oil from flowering aerial parts of nepeta macrosiphon boiss. growing wild in kermanshah province, iran, was analyzed by gc/ms. this essential oil was prepared by a modified likens-nickerson’s simultaneous distillation-extraction (sde) method. forty-five compounds consisting 95.1% of the total components were identified from the oil obtained with a yield of 0.1%w/w. among them, spa...

The essential oil from flowering aerial parts of Nepeta macrosiphon Boiss. growing wild in Kermanshah Province, Iran, was analyzed by GC/MS. This essential oil was prepared by a modified Likens-Nickerson’s simultaneous distillation-extraction (SDE) method. Forty-five compounds consisting 95.1% of the total components were identified from the oil obtained with a yield of 0.1%w/w. Among them, spa...